Convergence of solutions of discrete reflected backward SDE’s and simulations

被引：0

作者：

Jean Mémin

Shi-ge Peng

Ming-yu Xu

机构：

[1] Shandong University,Institute of Mathematics

[2] Université de Rennes1,IRMAR

[3] Campus de Beaulieu,Lab. de Stat et Processus

[4] Université du Maine,undefined

来源：

Acta Mathematicae Applicatae Sinica, English Series | 2008年 / 24卷

关键词：

Reflected equations; backward equations; weak convergence; discretization; discrete backward equations; 60F17; 60H10;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The objective of this paper is to introduce elementary discrete reflected backward equations and to give a simple method to discretize in time a (continuous) reflected backward equation. A presentation of numerical simulations is also described.

引用

页码：1 / 18

页数：17

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